Exact solutions for ruin probability in the presence of an absorbing upper barrier
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Publication:3221243
DOI10.1080/03461238.1984.10413765zbMath0557.62086OpenAlexW1966042015MaRDI QIDQ3221243
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Publication date: 1984
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1984.10413765
ruin probabilityabsorbing upper barriergamma single claim amountsmixed exponential single claim amounts
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Mathematical model of banking operation ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ On the time to ruin for Erlang(2) risk processes. ⋮ A discussion on Buhlmann's criterion for asset valuation. ⋮ Ruin theory with risk proportional to the free reserve and securitization ⋮ On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier ⋮ Escape probabilities from an interval for compound Poisson processes with drift ⋮ Optimal prevention of large risks with two types of claims ⋮ The expected time to ruin in a risk process with constant barrier via martingales ⋮ The win-first probability under interest force
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